CS4 on a Mac. My understanding is that if I highlight a word, I should be able to use the "Create new style" button from the Character styles panel to create a new character style that has the attributes of the word I highlighted. This is not happening - instead, I'm getting a completely blank new character style.

A Character Style will and shall only fill the fields which are different from the Paragraph Style, where the Character Style is applied, contrary to Quark Xpress. E.g. if you want to have a Character Style where the Character Color is red, in InDesign you can apply this Character Style upon text with any Paragraph Style without limitation of font size, font family, language, etc. As only the different attribute is stored. In Quark Xpress you have to define all attributes but you need to create a Character style for any Paragraph Style where the basic font is different.